1. Be confident when you approach him. If you are jittery/scared he will know that and react accordingly.
2. Place your hands to each side of the hedgehog and gently scoop him up. It will hurt, but not as much.
3. Use a soft blanket to help scoop/protect your hands.

You need to build your confidence that you can handle him so that he builds his confidence that he can trust you to pick him up safely.